Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0169
Annualized Std Dev 0.0665
Annualized Sharpe (Rf=0%) 0.2534

Row

Daily Return Statistics

Close
Observations 4694.0000
NAs 1.0000
Minimum -0.0251
Quartile 1 -0.0024
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0026
Maximum 0.0343
SE Mean 0.0001
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0042
Skewness 0.0144
Kurtosis 2.9711

Downside Risk

Close
Semi Deviation 0.0030
Gain Deviation 0.0027
Loss Deviation 0.0028
Downside Deviation (MAR=210%) 0.0092
Downside Deviation (Rf=0%) 0.0030
Downside Deviation (0%) 0.0030
Maximum Drawdown 0.1237
Historical VaR (95%) -0.0067
Historical ES (95%) -0.0094
Modified VaR (95%) -0.0065
Modified ES (95%) -0.0097
From Trough To Depth Length To Trough Recovery
2016-07-11 2018-10-05 2019-08-15 -0.1237 781 566 215
2003-06-16 2007-06-12 2008-02-29 -0.1218 1186 1005 181
2008-12-19 2009-06-10 2010-10-07 -0.1187 453 118 335
2012-07-26 2013-09-05 2015-01-15 -0.1026 622 279 343
2010-10-12 2011-02-08 2011-08-04 -0.0893 206 83 123

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA 0.4 0.2 -1.2 -0.9 0.1 -0.5 -1.9
2003 0 0.3 -0.4 -0.3 -0.1 -0.5 -0.5 -0.3 -0.4 0.4 -0.9 -0.2 -2.7
2004 0.5 -0.2 -0.5 0.2 -0.8 -0.1 0.7 -0.3 -0.7 -0.8 -0.3 -0.2 -2.6
2005 -0.4 -0.3 -0.1 -0.4 0.3 -1.2 -0.5 -0.2 -0.3 -0.4 -0.6 0 -3.9
2006 -0.6 -0.5 0.1 -0.9 -0.2 0.3 -0.4 -0.2 -0.2 -0.1 -0.1 0 -2.8
2007 -0.5 -0.2 -0.1 -0.4 -0.8 0.5 -0.7 0 -0.3 0.5 0.1 0.5 -1.3
2008 0 1.1 -1.2 -0.3 0.3 -0.6 -0.3 -0.1 0.4 -0.2 1 -1.1 -1.1
2009 0 -0.1 0 -0.6 -1.9 -0.3 1 0 0.5 0.7 -0.8 -0.5 -2.1
2010 -0.7 -0.2 -0.5 0.6 -0.2 -0.3 0.6 -1 -0.2 -0.4 -1.6 0.5 -3.2
2011 -0.7 -0.1 -0.1 0.2 0.6 -0.5 0.1 0.6 0.6 1 -0.2 0.4 1.8
2012 -0.5 -0.5 -0.5 -0.3 0.7 -0.5 -0.5 0.6 0.1 -0.3 0 -0.5 -2.3
2013 -0.5 0.1 0.1 0.2 -0.3 -0.1 -1 -0.2 -0.4 -0.7 -0.1 -0.5 -3.1
2014 0.4 -0.1 -0.4 0.1 -0.1 -0.5 0.4 0 0.7 -0.2 -0.4 0.1 0
2015 0.9 0.4 0.3 -0.7 -0.6 -0.7 0.6 0.3 -0.1 0.2 0.4 0.1 1.1
2016 -0.4 -0.9 -0.2 0 -0.2 0.1 -0.5 0 -0.2 -0.1 -0.5 0.3 -2.6
2017 -0.3 -0.8 0.2 -0.4 -0.2 -0.2 0.1 -0.4 -0.1 -0.1 0.2 0.2 -2
2018 -0.7 0.3 0.2 -0.3 -0.6 -0.1 -0.4 0 -0.5 -0.1 0.2 0.4 -1.6
2019 -0.7 -0.5 -0.9 -0.2 0.7 -0.3 1 0 0.1 -0.3 -0.1 -0.4 -1.7
2020 0.5 1.1 0.3 0 -0.1 -0.2 0 0.3 0 -0.3 -0.6 0.1 1
2021 0.1 -0.2 -0.1 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-07-26  82.8 SPY    85.6  0.019     0.0105  -0.124    -0.203   -0.294   -0.371       NA <NA>     NA    NA       NA
2 2002-07-29  81.8 SPY    89.8  0.0487    0.0921  -0.0972   -0.160   -0.245   -0.339       NA <NA>     NA    NA       NA
3 2002-07-30  81.8 SPY    90.9  0.013     0.138   -0.081    -0.157   -0.228   -0.325       NA <NA>     NA    NA       NA
4 2002-07-31  82.5 SPY    91.2  0.00240   0.076   -0.0605   -0.165   -0.235   -0.329       NA <NA>     NA    NA       NA
5 2002-08-01  82.9 SPY    88.8 -0.0261    0.0569  -0.0652   -0.184   -0.262   -0.349       NA <NA>     NA    NA       NA
6 2002-08-02  83.5 SPY    86.8 -0.0224    0.0139  -0.0913   -0.193   -0.282   -0.354       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart